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Testing the volatility jumps based on the high frequency data†
Journal of Time Series Analysis
◽
10.1111/jtsa.12634
◽
2021
◽
Author(s):
Guangying Liu
◽
Meiyao Liu
◽
Jinguan Lin
Keyword(s):
High Frequency
◽
High Frequency Data
◽
Frequency Data
◽
Volatility Jumps
Download Full-text
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References
Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data
Energy Economics
◽
10.1016/j.eneco.2019.104481
◽
2019
◽
pp. 104481
◽
Cited By ~ 1
Author(s):
Christopher F. Baum
◽
Paola Zerilli
◽
Liyuan Chen
Keyword(s):
Stochastic Volatility
◽
Stock Markets
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High Frequency
◽
High Frequency Data
◽
Frequency Data
◽
Volatility Jumps
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Common price and volatility jumps in noisy high-frequency data
Electronic Journal of Statistics
◽
10.1214/18-ejs1444
◽
2018
◽
Vol 12
(1)
◽
pp. 2018-2073
◽
Cited By ~ 6
Author(s):
Markus Bibinger
◽
Lars Winkelmann
Keyword(s):
High Frequency
◽
High Frequency Data
◽
Frequency Data
◽
Volatility Jumps
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Impact of the Introduction of Call Auction on Price Discovery: Evidence from the Indian Stock Market Using High-Frequency Data
SSRN Electronic Journal
◽
10.2139/ssrn.2188542
◽
2012
◽
Author(s):
Sobhesh Kumar Agarwalla
◽
Joshy Jacob
◽
Ajay Pandey
Keyword(s):
Stock Market
◽
High Frequency
◽
Price Discovery
◽
High Frequency Data
◽
Frequency Data
◽
Call Auction
◽
Indian Stock Market
Download Full-text
High Frequency Data in Finance: A Study of the Indian Equity Markets
SSRN Electronic Journal
◽
10.2139/ssrn.300343
◽
2003
◽
Author(s):
Susan Thomas
Keyword(s):
High Frequency
◽
Equity Markets
◽
High Frequency Data
◽
Frequency Data
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Efficient Estimation of Volatility using High Frequency Data
SSRN Electronic Journal
◽
10.2139/ssrn.306002
◽
2002
◽
Cited By ~ 12
Author(s):
Gilles O. Zumbach
◽
Fulvio Corsi
◽
Adrian Trapletti
Keyword(s):
High Frequency
◽
Efficient Estimation
◽
High Frequency Data
◽
Frequency Data
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Forecasting Exchange Rate Realized Volatility Through Decomposition Using High-Frequency Data
SSRN Electronic Journal
◽
10.2139/ssrn.3099650
◽
2017
◽
Author(s):
Rim mname Lamouchi
◽
Russell mname Davidson
◽
Ibrahim mname Fatnassi
◽
Abderazak Ben mname Maatoug
Keyword(s):
Exchange Rate
◽
High Frequency
◽
Realized Volatility
◽
High Frequency Data
◽
Frequency Data
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Supplementary Material for "Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data''
SSRN Electronic Journal
◽
10.2139/ssrn.3472122
◽
2019
◽
Author(s):
Z. Merrick Li
◽
Michel Vellekoop
◽
Roger Jean Auguste Laeven
Keyword(s):
High Frequency
◽
High Frequency Data
◽
Frequency Data
◽
Microstructure Noise
◽
Volatility Estimation
◽
Integrated Volatility
◽
Supplementary Material
Download Full-text
Stochastic Volatility: A Tale of Co-Jumps, Non-Normality, GMM and High Frequency Data
SSRN Electronic Journal
◽
10.2139/ssrn.3549884
◽
2019
◽
Author(s):
Christian-Oliver Ewald
◽
Yihan Zou
Keyword(s):
Stochastic Volatility
◽
High Frequency
◽
High Frequency Data
◽
Frequency Data
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Profitability of Trading Strategies on High-Frequency Data, with Trading Costs
SSRN Electronic Journal
◽
10.2139/ssrn.568363
◽
2004
◽
Cited By ~ 1
Author(s):
Tirthankar C. Patnaik
◽
Susan Thomas
Keyword(s):
High Frequency
◽
Trading Strategies
◽
High Frequency Data
◽
Frequency Data
◽
Trading Costs
Download Full-text
A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data
SSRN Electronic Journal
◽
10.2139/ssrn.2741911
◽
2016
◽
Cited By ~ 2
Author(s):
Yacine Ait-Sahalia
◽
Dacheng Xiu
Keyword(s):
Market Microstructure
◽
High Frequency
◽
High Frequency Data
◽
Frequency Data
◽
Microstructure Noise
◽
Hausman Test
◽
Market Microstructure Noise
Download Full-text
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